STATIONARITY TESTING WITH COVARIATES
提出了两种新的平稳性检验方法，通过引入平稳协变量提升了局部渐近检验功效，蒙特卡洛模拟验证了小样本性质，并应用于国际金融数据。
Two new stationarity tests are proposed. Both tests can be viewed as generalizations of existing stationarity tests and dominate these in terms of local asymptotic power. Improvements are achieved by accommodating stationary covariates. A Monte Carlo investigation of the small sample properties of the tests is conducted, and an empirical illustration from international finance is provided.This paper has benefited from the comments of Pentti Saikkonen (the co-editor), two anonymous referees, and seminar participants at University of Aarhus, Indiana University, Purdue University, Stanford University, UC Riverside, the 2001 Nordic Econometric Meeting, and the 2001 NBER Summer Institute. A MATLAB program that implements the tests proposed in this paper is available at http://elsa.Berkeley.EDU/users/mjansson.